Here's the deal. Let's say you have 10 slides in your
project. Each slide is 3 seconds long. You attempt to insert an
audio clip on slide 1 and that audio clip is timed to play for 7
seconds. When you go to insert the clip, you should be prompted to
choose a course of action. The bottom action is to start playing on
this slide and allow the audio to break naturally across slides.

This means you need need to have an audio clip that will play
for the time you would like. (or close to it)

Unfortunately there is not an option in Captivate to take a
clip and say play it from Slide x to Slide x.

I found a good solution to this, Rick... kind of a "work
around". After I have the audio done and inserted in my slide, I
follow these steps in order to make it go over several slides:
1. I rename the audio file in the library
2. I remove it from the slide
3. I shorten the slide down much less than the audio file
would have been
4. I go to Slide properties>Audio and insert from library.
5. When I insert it, it prompts me to stretch it over several
slides.

To make this work, go to Audio --> Edit --> Project audio. You can then insert slides at various points in the audio recording, and can drag them (just like closed captions) to the appropriate timing in the audio.